55 citations · 71 across the 16 of their papers we have counts for
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math.PR2016
Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
Beatrice Acciaio, Julio Backhoff Veraguas, Anastasiia Zalashko
The martingale part in the semimartingale decomposition of a Brownian motion with respect to an enlargement of its filtration, is an anticipative mapping of the given Brownian moti…
math.OC2016★ 3 cited
On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
Julio Backhoff Veraguas, Ludovic Tangpi
It is well-known from the work of Kupper and Schachermayer that most law-invariant risk measures do not admit a time-consistent representation. In this work we show that in a Brown…